Yuniarsa, SherlindaOcta (2014) Exploring the Relationships among Interest Rate, Exchange Rate and Stock Price in Indonesia. Magister thesis, Universitas Brawijaya.
Abstract
Tujuan dari penelitian ini adalah untuk mengeksplorasi hubungan di antara tingkat bunga, nilai tukar, dan harga saham di Indonesia. Penelitian ini menggunakan data dari Bank Sentral Indonesia untuk menguji secara empiris model suku bunga yang diusulkan, nilai tukar, dan harga saham. Temuan ini mengkonfirmasi bahwa ada limpahan volatilitas positif dari nilai tukar dan limpahan volatilitas negatif dari suku bunga. Hubungan di antara tingkat bunga, nilai tukar, dan volatilitas pasar saham sedikit menguat selama krisis ekonomi, sebuah penelitian yang memungkinkan untuk istirahat struktural, untuk memperhitungkan efek dari guncangan makroekonomi mendadak, resesi, dan krisis keuangan, akan menjadi penting bagi literatur empiris di Indonesia.
English Abstract
The purpose of this research is to explore the relationships among interest rate, exchange rate, and stock price in Indonesia. This study used data from the Central Bank of Indonesia to empirically test a proposed model of interest rate, exchange rate, and stock price. The findings confirmed that there are positive volatility spillovers from exchange rate and negative volatility spillovers from interest rate. The relationships among interest rate, exchange rate, and stock market volatility a little bit strengthen during economic crises, a study that allows for structural breaks, to account for the effects of sudden macroeconomic shocks, recessions, and financial crises, would be an important to empirical literature on Indonesia.
| Item Type: | Thesis (Magister) |
|---|---|
| Identification Number: | TES/332.632 3/YUN/e/041404690 |
| Subjects: | 300 Social sciences > 332 Financial economics > 332.6 Investment |
| Divisions: | S2/S3 > Magister Manajemen, Fakultas Ekonomi dan Bisnis |
| Depositing User: | Endro Setyobudi |
| Date Deposited: | 10 Sep 2014 15:12 |
| Last Modified: | 10 Sep 2014 15:12 |
| URI: | http://repository.ub.ac.id/id/eprint/155786 |
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